Borkar, Vivek S. (1987) A comparison principle for certain convex functionals of a diffusion process without drift Stochastic Processes and their Applications, 25 . pp. 245-248. ISSN 0304-4149
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Official URL: http://www.sciencedirect.com/science/article/pii/0...
Related URL: http://dx.doi.org/10.1016/0304-4149(87)90201-8
Abstract
A comparison theorem is established between the expectations of a class of convex functionals of a nondegenerate diffusion without drift and those for an appropriately scaled Brownian motion.
| Item Type: | Article |
|---|---|
| Source: | Copyright of this article belongs to Elsevier Science. |
| Keywords: | Comparison Theorem; Nondegenerate Diffusions; Brownian Motion; Convex Functionals Of Processes |
| ID Code: | 81423 |
| Deposited On: | 06 Feb 2012 04:36 |
| Last Modified: | 06 Feb 2012 04:36 |
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